二元混合型索赔分布的复合模型的递推方程(英文)

Recursive Equations of Compound Distributions for Bivariate Mixed-type Severity Distribution

杨静平,程士宏,吴芹(2002)最近给出了索赔额服从一元混合型分布的复合模型的 递推公式, 本文则将其结果推广到二元情形. 并把我们的结果应用于超额赔款再保险实务中.

A recent result by Yang Cheng, Wu(2002) provided a recursive algorithm for compound distribution of aggregate claims with mixed-type severity distribution. In this paper, we extend their result to the case of bivariate compound risk model. As an application, we will consider its application in the excess-of-loss reinsurance treaty.